Sounds like a private contracted post?
If that is indeed the "rules" then you have no choice in the matter. You have to follow them as long as you wish to be employed by that Co. If it's just something you heard check with your Legal Dept.
I was taught that warning shots are bad on so many levels.
Illegal, liabilities are off the chart, sends a message to the BG that you are not serious about shooting him, you are not actually in fear for your life.
We all need to thank Hollywood for the idea that you can use warning shots or just wound them.